This thread looks to be a little on the old side and therefore may no longer be relevant. Please see if there is a newer thread on the subject and ensure you're using the most recent build of any software if your question regards a particular product. Otherwise - post away!
This can happen if you have associated a migration project with the model, but that migration project is not part of the current solution or cannot be found.
To diagnose this, close the .nhmodel file in Visual Studio, open the .nhmodel file in a text editor and look for the following attribute:
If you have not created a migrations project -- perhaps somebody started on one then changed their mind, but the .nhmodel file still contains the project reference -- then just delete the attribute. Save the changes and open the .nhmodel in Visual Studio. You should now see a Set Migrations Project command on the Migrations menu.
If you have do have an existing migrations project and want to keep it, edit the path to point at the desired project. (Paths are relative to the solution directory, i.e. the directory containing the .sln file.) Again, save and reopen and you should be good to go.
Let us know if this doesn't solve the problem!